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MEGBX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MEGBX and SPY is 0.86, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


Performance

MEGBX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MFS Growth Fund (MEGBX) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

MEGBX:

0.32

SPY:

0.57

Sortino Ratio

MEGBX:

0.61

SPY:

0.87

Omega Ratio

MEGBX:

1.08

SPY:

1.13

Calmar Ratio

MEGBX:

0.33

SPY:

0.55

Martin Ratio

MEGBX:

1.04

SPY:

2.11

Ulcer Index

MEGBX:

7.44%

SPY:

4.91%

Daily Std Dev

MEGBX:

24.28%

SPY:

20.35%

Max Drawdown

MEGBX:

-72.59%

SPY:

-55.19%

Current Drawdown

MEGBX:

-7.85%

SPY:

-5.23%

Returns By Period

In the year-to-date period, MEGBX achieves a -2.06% return, which is significantly lower than SPY's -0.89% return. Over the past 10 years, MEGBX has outperformed SPY with an annualized return of 13.27%, while SPY has yielded a comparatively lower 12.57% annualized return.


MEGBX

YTD

-2.06%

1M

8.15%

6M

-1.95%

1Y

6.67%

3Y*

17.88%

5Y*

12.47%

10Y*

13.27%

SPY

YTD

-0.89%

1M

5.93%

6M

-2.13%

1Y

10.77%

3Y*

15.38%

5Y*

16.09%

10Y*

12.57%

*Annualized

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MFS Growth Fund

SPDR S&P 500 ETF

MEGBX vs. SPY - Expense Ratio Comparison

MEGBX has a 1.59% expense ratio, which is higher than SPY's 0.09% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

MEGBX vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MEGBX
The Risk-Adjusted Performance Rank of MEGBX is 3737
Overall Rank
The Sharpe Ratio Rank of MEGBX is 3030
Sharpe Ratio Rank
The Sortino Ratio Rank of MEGBX is 3838
Sortino Ratio Rank
The Omega Ratio Rank of MEGBX is 3838
Omega Ratio Rank
The Calmar Ratio Rank of MEGBX is 4242
Calmar Ratio Rank
The Martin Ratio Rank of MEGBX is 3636
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6262
Overall Rank
The Sharpe Ratio Rank of SPY is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 5959
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6262
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6565
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6363
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

MEGBX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Growth Fund (MEGBX) and SPDR S&P 500 ETF (SPY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


The current MEGBX Sharpe Ratio is 0.32, which is lower than the SPY Sharpe Ratio of 0.57. The chart below compares the historical Sharpe Ratios of MEGBX and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

MEGBX vs. SPY - Dividend Comparison

MEGBX's dividend yield for the trailing twelve months is around 20.73%, more than SPY's 1.24% yield.


TTM20242023202220212020201920182017201620152014
MEGBX
MFS Growth Fund
20.73%20.31%7.21%1.51%3.91%4.94%2.13%5.40%3.26%2.03%4.61%4.83%
SPY
SPDR S&P 500 ETF
1.24%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

MEGBX vs. SPY - Drawdown Comparison

The maximum MEGBX drawdown since its inception was -72.59%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MEGBX and SPY.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

MEGBX vs. SPY - Volatility Comparison

MFS Growth Fund (MEGBX) has a higher volatility of 4.79% compared to SPDR S&P 500 ETF (SPY) at 4.45%. This indicates that MEGBX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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